Bald's Life has been my introduction to the scholarly biography, which means that a riveting read it most definitely wasn't. That being said, the rigor and scrupulousness of the work is quite impressive. Indeed, it constitutes a compendium of nearly every known fact relating to the poet, whether it involve his friendships, writings, travels, sicknesses, occupations, debts, sermons, studies, library... etc.—even his passionate aversion to milk (see pg. 526).
I've been told that Carey's is the more bombastic read, and thus would better suit the casual reader. But if you're seeking a biography of Donne that's sober, meticulous and above all capacious, this is the book for you.